Yes they look way better at 15khz than stretched to VGA. Just look at the game's resolution and pick a MAME resolution with the exact (or slightly more) number of horizontal lines. For example, Pacman = 224x288, so use AVGA's 352x288 resolution.
I basically agree, but for me there are 2 serious issues with this:
1) if your monitor is adjusted for horizontal games (& doesn't have a memory for size/positions at different modes) then some of the 288 lines will be cut off (these lines often tend to be crucial for gameplay). Of course you can shrink your size down, but then horizontal games look squashed. Maybe this isn't an issue with a multisync, but for most fixed 15khz screens it probably is.
2) Some of the 288 line modes have odd refresh rates. eg 352x288 @ 51Hz. This can play havoc unless the game uses the same framerate (dropped frames, sound glitches etc).
For me these two reasons are enough to make me use 640x480 interlaced for most of these vertical games.